In a portfolio selection model with two risky investments having bivariate normally distributed returns, we show that Rubinstein's measures of risk aversion can yield the desirable characterizations of risk aversion and wealth effects on the optimal portfolios. These properties are analogous to...

I propose and estimate conditional asset pricing models where the risk premiums of the markets are related to the conditional covariance of the markets with labor income growth within and across countries and the volatility of the markets are related to the shocks and interactions of stock...

This paper considers the problem of investment of capital in risky assets in a dynamic capital market in continuous time. The model controls risk, and in particular the risk associated with errors in the estimation of asset returns. The framework for investment risk is a geometric Brownian...